Convergence rate of the Euler-Maruyama scheme applied to diffusion processes with \(L^q - L^{\rho}\) drift coefficient and additive noise
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Publication:6126812
DOI10.1214/23-aap2006arXiv2105.04860OpenAlexW3162156061MaRDI QIDQ6126812
Benjamin Jourdain, Stéphane Menozzi
Publication date: 10 April 2024
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2105.04860
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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